Trend-Following Backtester · Guide · backtest 한국어
equity · TR
BIM Birlesik Magazalar A.S. backtest
10 trend-following strategies were compared on the full daily history of BIM Birlesik Magazalar A.S.. 0 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 28.6%, MDD -40.9%).
Results by strategy
0 of 10 beat buy and hold (CAGR 36.2%, drawdown -60.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 28.6%, MDD -40.9%, Sharpe 0.96, 89% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 7.6%p lower than buy and hold, while drawdown improves by 19.8%p (CAGR 28.6%, MDD -40.9%, exposure 89%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=14, exitN=64 |
28.6% | -40.9% | 0.96 | 0.70 | 197.2x | 45 | 89% |
| SMA 크로스오버 fast=15, slow=190 |
25.2% | -41.9% | 0.92 | 0.60 | 112.7x | 47 | 76% |
| EMA 크로스오버 fast=36, slow=108 |
24.7% | -44.8% | 0.90 | 0.55 | 103.0x | 39 | 77% |
| ROC 모멘텀 n=143, threshold=-0.04 |
23.4% | -50.0% | 0.85 | 0.47 | 83.7x | 117 | 83% |
| Supertrend period=21, mult=5 |
18.3% | -39.8% | 0.76 | 0.46 | 34.2x | 62 | 66% |
| 볼린저 밴드 돌파 n=45, k=1.6 |
9.2% | -42.4% | 0.50 | 0.22 | 6.3x | 137 | 46% |
| ADX / DI 방향성 period=51, threshold=22 |
5.5% | -24.5% | 0.49 | 0.22 | 3.1x | 16 | 15% |
| Keltner 채널 돌파 emaPeriod=30, atrPeriod=16, mult=2.2 |
6.5% | -45.2% | 0.41 | 0.14 | 3.8x | 142 | 37% |
| Parabolic SAR step=0.04, maxStep=0.34 |
6.7% | -72.6% | 0.38 | 0.09 | 3.9x | 652 | 55% |
| MACD fast=16, slow=52, signal=16 |
5.3% | -51.1% | 0.34 | 0.10 | 3.0x | 271 | 50% |
| Buy and hold | 36.2% | -60.7% | 1.07 | 0.60 | 659.7x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 14 days
- Sell — Sell when price breaks below the lowest low of the last 64 days